Sorry for the confusion. You're actually not supposed to copy those files to your Pocket PC directly; they're installer programs that run on your regular Windows PC and copy files over to your Pocket PC themselves.
So delete those files from your Pocket PC, then double-click on pccomplete103.exe on your regular PC to begin the installation. (make sure it's pccomplete and not ppcomplete; pccomplete is the Pocket PC version, you can download it from http://www.pleco.com/ppcdownload.html if you've got the wrong one) See the instruction manual (http://www.pleco.com/dictmanual.html) for more details.